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math.OC2026
Convex Hulls of Reachable Sets
Thomas Lew, Riccardo Bonalli, Marco Pavone
We study the convex hulls of reachable sets of nonlinear systems with bounded disturbances and uncertain initial conditions. Reachable sets play a critical role in control, but rem…
math.OC2025
A Characterization of Law-Invariant and Coherent Risk Measures through Optimal Transport
Riccardo Bonalli, Benoît Bonnet-Weill, Laurent Pfeiffer
In this article, we propose a novel characterization of law-invariant and coherent risk measures, based on a generalized optimal transport problem in which the second marginal of t…
math.OC2024
Sample Average Approximation for Stochastic Programming with Equality Constraints
Thomas Lew, Riccardo Bonalli, Marco Pavone
We revisit the sample average approximation (SAA) approach for non-convex stochastic programming. We show that applying the SAA approach to problems with expected value equality co…